Showing 1 - 10 of 174
Persistent link: https://www.econbiz.de/10000896775
Persistent link: https://www.econbiz.de/10000727090
Persistent link: https://www.econbiz.de/10000735198
Persistent link: https://www.econbiz.de/10000607725
Persistent link: https://www.econbiz.de/10003716034
Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...
Persistent link: https://www.econbiz.de/10003727720
Persistent link: https://www.econbiz.de/10003730073
Persistent link: https://www.econbiz.de/10003759856
Persistent link: https://www.econbiz.de/10003759863